BVAR results
EPU proximity press paper
(updated: 2021-11-28)
Overview
This report shows the baseline and robustness results from the empirical exercise in the paper “Do local and foreign newspapers unveil the same economic policy uncertainty shocks?” by E. Andres-Escayola, C. Ghirelli, L. Molina, J.J. Perez, and E. Vidal. In particular, here we report the impulse response functions from the Bayesian VAR model. Please refer to the paper for specific details.
Prepared by E. Andres-Escayola
Baseline results
Local press
Chart 1
IRF Portfolio capital flows & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
IRF Exchange rate & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
IRF Equity & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
Spanish press
Chart 1
IRF Portfolio capital flows & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
IRF Exchange rate & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
IRF Equity & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
International press
Chart 1
IRF Portfolio capital flows & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
IRF Exchange rate & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
IRF Equity & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 90%-10%, 84%-16%, 68%-32% credible sets for 15 periods.
Robustness results
One lag
Chart 2
IRF Portfolio capital flows & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
IRF Exchange rate & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
IRF Equity & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
Cholesky permutation
Chart 2
IRF Portfolio capital flows & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
IRF Exchange rate & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
IRF Equity & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
Monthly data
Chart 2
IRF Portfolio capital flows & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
IRF Exchange rate & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
IRF Equity & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
Additional financial variable
Chart 2
IRF Residential portfolio capital flows & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).
IRF EMBI & GDP
(Percentage points)
Source: Own estimations.
Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods (filled triangles represent significant estimates).